Hrm, I brought almost a full stack of cavalry (Under 800 when they arrived IIRC) across the ocean as the Danes in my AAR and wiped out the Aztecs, killing around 10k of their men and losing maybe 250 of mine(Medium units sizes). I even released some of their men so I could pretend they were a challenge. The Aztecs have no answer for cavalry, in all of my engagements they routed almost on contact.

I did have a company of elephants for the last two battles or so, but they were the only men of mine to be affected by the Aztec's supposed fearsome attitude.